iOS 4.2 is on the way. To use an untethered jailbreak, users will have to save their SHSH blobs with Cydia, before 4.2. If you don't, you will have to use a tethered jailbreak. Those who have been using the beta version of iOS 4.2 can save their SHSH blobs to Cydia right now as well.
Know that if you do want to save your SHSH blobs to Cydia, you will have to do it before 4.2 is released to the public. When it's released, Apple will stop signing the old firmware, rendering you unable to save blobs for 4.1.
UPDATED GUIDE for iOS 4.2 Jailbreak: iPhone 4.2 jailbreak: How to Jailbreak iPhone 4.2 or iPod Touch With RedSn0w on iOS 4.2